I hear you on that! I like to keep touch-ups to an absolute minimum. If something doesn't last on me all day (or at least a reasonable workday), I toss it. The only thing I'm willing to touch-up is lipstick.
eyeliner - ends up in the corner of my eye (I use primer and eye cream)
I posted some recs for these under your eyeliner post <img src="/images/graemlins/smile.gif" alt="" />
eyeshadow - fades
drugstore: Milani probably lasts the best (the darker shades wear better, lighter shades def. need a base). Sonia Kashuk is good too.
I have not tried the new L'Oreal HIP shadows but they look promising, they swatch very pigmented. Likewise IsaDora (haven't tried but look promising). The Neutrogena Mineral Sheers for eyes are good but the color selection is extremely basic.
department store: MAC powder eyeshadow and Jane Iredale mineral shadow probably last the best. Some spendier shadows last...I recently tried a Dior 5-color pan and was impressed (expensive, but if it's colors you use often, it would be worth it). Nars...the best colors...the MAC and the Dior wear slightly better but the colors are worth any extra effort.
pressed powder - fades
Have you tried MAC Blot? I used drugstore pressed powders before, but the difference is worth the price.
lipstick - doesn't last, but I don't want or matte (too drying)
MAC *Lustre* formula lipsticks are good if you can use sheer color. They're moisturizing (unlike some of the other MAC formulas) and the colors are very pretty. I don't have to touch-up constantly, maybe several times per day.
Aside from that...a couple of more expensive brands produce lipsticks that have a cream, almost matte finish but aren't at all drying. I've recently tried Lancome Rouge Sensation and Chanel Hydrabase Creme. The Rouge Sensation felt drier on the surface but was more hydrating than the Chanel...when the lipstick wore off, my lips felt very soft. Both are scented though, so that may depend on how you feel about scented lipsticks.
hth some!